外國法人、證券自營商、投信鉅額交易對台灣上櫃市場股價影響

Autor: Steven Liu, 劉坤青
Rok vydání: 2000
Druh dokumentu: 學位論文 ; thesis
Popis: 88
In the effect market, price has to reflect underlying value. The insures the proper allocation of new funds to the most productive areas of the economy. Additionally, individual investors benefit by knowing that price at which they trade are not subject to forces which have little or nothing to do which the underlying value of the company. But the substantial increase in institution trading over the last decade has been paralleled by an increase in block trading. Not a few market observers fear these developments have adversely affected market liquidity and increased stock price volatility. Block trading, they argue, cause liquidity problems for the specialist; furthermore, parallel trade by institutions and the possibility of institutions trading on superior information may be expected to increase stock price volatility. A macroanalysis of the relation between block trading and aggregate stock price volatility indicates strongly that block trading —either as a percentage of total trading volume or as the total number of shares traded in blocks-does not increase price volatility. In fact, most of the significant results suggest a negative relationship. Apparently, greater institutional involvement, as measured by the degree of block trading, enhances liquidity. The evidence does, however, suggest a positive relation between total trading volume and volatility. The paper examined for the 2-year period 1998 through 2000 daily data taken from Taiwan Over the Center. And the paper measured daily stock price volatility, usingIn the effect market, price has to reflect underlying value. The insures the proper allocation of new funds to the most productive areas of the economy. Additionally, individual investors benefit by knowing that price at which they trade are not subject to forces which have little or nothing to do which the underlying value of the company. But the substantial increase in institution trading over the last decade has been paralleled by an increase in block trading. Not a few market observers fear these developments have adversely affected market liquidity and increased stock price volatility. Block trading, they argue, cause liquidity problems for the specialist; furthermore, parallel trade by institutions and the possibility of institutions trading on superior information may be expected to increase stock price volatility. A macroanalysis of the relation between block trading and aggregate stock price volatility indicates strongly that block trading —either as a percentage of total trading volume or as the total number of shares traded in blocks-does not increase price volatility. In fact, most of the significant results suggest a negative relationship. Apparently, greater institutional involvement, as measured by the degree of block trading, enhances liquidity. The evidence does, however, suggest a positive relation between total trading volume and volatility. The paper examined for the 2-year period 1998 through 2000 daily data taken from Taiwan Over the Center. And the paper measured daily stock price volatility, usingIn the effect market, price has to reflect underlying value. The insures the proper allocation of new funds to the most productive areas of the economy. Additionally, individual investors benefit by knowing that price at which they trade are not subject to forces which have little or nothing to do which the underlying value of the company. But the substantial increase in institution trading over the last decade has been paralleled by an increase in block trading. Not a few market observers fear these developments have adversely affected market liquidity and increased stock price volatility. Block trading, they argue, cause liquidity problems for the specialist; furthermore, parallel trade by institutions and the possibility of institutions trading on superior information may be expected to increase stock price volatility. A macroanalysis of the relation between block trading and aggregate stock price volatility indicates strongly that block trading —either as a percentage of total trading volume or as the total number of shares traded in blocks-does not increase price volatility. In fact, most of the significant results suggest a negative relationship. Apparently, greater institutional involvement, as measured by the degree of block trading, enhances liquidity. The evidence does, however, suggest a positive relation between total trading volume and volatility. The paper examined for the 2-year period 1998 through 2000 daily data taken from Taiwan Over the Center. And the paper measured daily stock price volatility, using Taiwan Over the Center
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